Ch 9: Estimation risk and allocation optimization (Bayes, Black-Litterman, Python and MATLAB code for advanced risk and portfolio management, see here . Risk and Asset Allocation has 24 ratings and 3 reviews. Max said: Not a bad book, but not what I was looking for. The book has extensive coverage of dist. mathematical finance but foreign exchanges, term structure, risk management, portfolio theory Attilio Meucci. Risk and. Asset Allocation. With Figures. .

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Steve marked it as to-read Nov 11, If you like books and love to build cool products, we may be looking for you. Daniel marked it as to-read Jan 12, Jean is currently reading it Feb 27, Timchiang marked it as to-read Apr 20, Wolfgang marked it as to-read Feb 14, Goodreads helps you keep track of books you want to read.

Meuccii encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments.

But, it’s not always obvious which ones represent something that should be calculated, and which represent idealized functions. Platzer Peter rated it liked it Feb 12, Anton marked it as to-read Aug 23, Christian Lauron rated it liked it Sep 04, Attilii added it Jun 02, Tim Booher marked it as to-read Mar 09, Be the first to ask a question about Risk and Asset Allocation.


Risk and Asset Allocation

Phil rated it really liked it Jan 06, Risk and Asset Allocation by Attilio Meucci. Victor marked it as to-read Oct 31, To see what your friends thought of this rixk, please sign up. Mike rated it really liked it May 10, John Smith marked it as to-read Feb 01, I’ve got a PhD in maths, so it’s not the depth that bothers me, it’s the use of the maths.

Sep 17, Joris Esch rated it it was amazing. There are no discussion topics on this book yet. Refresh and try again. More materials and complete reviews can also be found at symmys. Fabio rated it really liked it May 26, Thanks for telling us about the meuci.

Open Preview See a Problem? Evaluation methods such as stochastic dominance, expected utility, value at risk and coherent measures are thoroughly discussed in a unified setting and applied in a variety of contexts, including prospect theory, total return and benchmark allocation.

Risk and Asset Allocation by Attilio Meucci

Adam rated it really liked it Mar 12, Casey Conger rated it it was amazing Dec 03, Thomas Martins marked it as to-read Feb 21, Steven Resman rated it really liked it Feb 25, Just a moment while we sign you in to your Goodreads account.

Saurabh Jain marked it as to-read May 01, Vaani marked it as to-read Oct 26, Samprabhu Rubandhas rated it it was amazing Apr 11, Portfolio optimization is presented with emphasis on estimation risk, which is tackled by means of Bayesian, resampling and robust optimization techniques.

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Cristiano Medeiros marked it as to-read Apr 06, Multivariate estimation methods are analyzed in depth, including non-parametric, maximum-likelihood under non-normal hypotheses, shrinkage, robust, and very general Bayesian techniques. Holidaylalala marked it as to-read Sep 19, Books by Attilio Meucci. Personally, I prefer William Sharpe’s abandoned textbookalthough Sharpe covers less ground.

Henry rated it really liked it Nov 12, Private rated it really liked it Jul 27, All the statistical and mathematical tools, such as copulas, location-dispersion ellipsoids, matrix-variate distributions, cone programming, are introduced from the basics. Aborodya is currently reading it Sep 20, Buy this as a reference work if you like portfolio construction as a branch of pure maths. Joseph L D’Anna rated it really liked it Jul 28, Brian Peterson rated it it was amazing Nov 02, Want to Read Currently Reading Read.

Alexander rated it really liked it Mar 19, Joshua Knechtel added it Apr 27, Lists with This Book.